Multi-Swarm Multi-Objective Optimizer Based on p-Optimality Criteria for Multi-Objective Portfolio Management
المؤلفون المشاركون
He, Maowei
Chen, Hanning
Sun, Liling
Hu, Yabao
Liu, Rui
Shen, Hai
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2019، العدد 2019 (31 ديسمبر/كانون الأول 2019)، ص ص. 1-22، 22ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2019-01-21
دولة النشر
مصر
عدد الصفحات
22
التخصصات الرئيسية
الملخص EN
Portfolio management is an important technology for reasonable investment, fund management, optimal asset allocation, and effective investment.
Portfolio optimization problem (POP) has been recognized as an NP-hard problem involving numerous objectives as well as constraints.
Applications of evolutionary algorithms and swarm intelligence optimizers for resolving multi-objective POP (MOPOP) have attracted considerable attention of researchers, yet their solutions usually convert MOPOP to POP by means of weighted coefficient method.
In this paper, a multi-swarm multi-objective optimizer based on p-optimality criteria called p-MSMOEAs is proposed that tries to find all the Pareto optimal solutions by optimizing all objectives at the same time, rather than through the above transforming method.
The proposed p-MSMOEAs extended original multiple objective evolutionary algorithms (MOEAs) to cooperative mode through combining p-optimality criteria and multi-swarm strategy.
Comparative experiments of p-MSMOEAs and several MOEAs have been performed on six mathematical benchmark functions and two portfolio instances.
Simulation results indicate that p-MSMOEAs are superior for portfolio optimization problem to MOEAs when it comes to optimization accuracy as well as computation robustness.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Hu, Yabao& Chen, Hanning& He, Maowei& Sun, Liling& Liu, Rui& Shen, Hai. 2019. Multi-Swarm Multi-Objective Optimizer Based on p-Optimality Criteria for Multi-Objective Portfolio Management. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-22.
https://search.emarefa.net/detail/BIM-1197615
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Hu, Yabao…[et al.]. Multi-Swarm Multi-Objective Optimizer Based on p-Optimality Criteria for Multi-Objective Portfolio Management. Mathematical Problems in Engineering No. 2019 (2019), pp.1-22.
https://search.emarefa.net/detail/BIM-1197615
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Hu, Yabao& Chen, Hanning& He, Maowei& Sun, Liling& Liu, Rui& Shen, Hai. Multi-Swarm Multi-Objective Optimizer Based on p-Optimality Criteria for Multi-Objective Portfolio Management. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-22.
https://search.emarefa.net/detail/BIM-1197615
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1197615
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر